Similar Search Results

Narrow search

Optimal liquidity management and hedging in the presence of a non-predictable investment opportunity

Villeneuve, Stéphane; Warin, Xavier - In: Mathematics and financial economics 8 (2014) 2, pp. 193-227

Persistent link: https://www.econbiz.de/10010342479

Pension funds with a minimum guarantee : a stochastic control approach

Di Giacinto, Marina; Federico, Salvatore; Gozzi, Fausto - In: Finance and stochastics 15 (2011) 2, pp. 297-342

Persistent link: https://www.econbiz.de/10009159089

A stochastic receding horizon control approach to constrained index tracking

Primbs, James A.; Sung, Chang Hwan - In: Asia-Pacific financial markets 15 (2008) 1, pp. 3-24

Persistent link: https://www.econbiz.de/10003757432

Optimal investment strategies under affine Markov-switching models : theory, examples and implementation

Neykova, Daniela - 2016

This thesis deals with the portfolio optimization problem of an investor who aims to maximize the expected utility of her terminal wealth. The considered multidimensional asset price model incorporates several risk factors modeled both by diffusion processes and by a Markov chain. Based on the...

Persistent link: https://www.econbiz.de/10011475639